Andrea Pascucci – PDE and Martingale Methods in Option Pricing

Andrea Pascucci – PDE and Martingale Methods in Option Pricing

Description

This book provides an introduction to probabilistic and mathematical probability. and Numerical methods are used in The modern theory of option pricing. This text is intended for readers who have a basic math background. The first section contains an overview of arbitrage theory. in discrete time. The second section will cover the theories and stochastic calculus. and Parabolic PDEs can be developed in detail and Analyzing the classic arbitrage theory is possible in Markovian setting with the use of PDEs techniques. After the martingale representation theories and The Girsanov theory has been presented. Arbitrage pricing has been revisited in The martingale theory optics. General tools PDE and Martingale theories can also be applied in Analysis of volatility modeling. The book also contains an Introduction to Lévy processes and Malliavin calculus. The last section is dedicated to the description and use of numerical methods in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.

Andrea Pascucci He is Professor of Mathematics at Bologna University, where he directs a master program. in Quantitative Finance. His research interests include the second order partial differential equations. and stochastic analysis applied to finance (pricing European and American goods) and Asian options

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